It is funny as I am thinking of the same question getting ready for the colder season. I actually run with a pair of windbreaker pants. It has a liner and seems to work good.
Couple of things I have found since I started looking into it:
1) Walmart has a compression type shorts that seem decent. Cost is $10 for either the pants or top. The maker is Starter.
2) Nike does have shorts and pants like you are talking. Check on the Nike website to see what they have. If you happen to be doing mycokerewards, you can get free gift cards to the website. The cost is right around $30 per pc. Theirs (unlike Starter) are geared towards also keeping you warm. When I put on the top from Starter, it was comfortable and pretty warm.
3) If you want to look into what the Nike (and Under Armour) products are like - Dick's Sporting Goods has them. I am thinking I would try on the Nike product and then order it online once I am comfortable with the size. The cost at Dick's is $50 each.
Anyway, not sure if that will help any...
CitiCorp 5K Heart Run : 25:49 Finished 13th, 2nd in my class! (though, only 43 racers)
Check out my Blog : My journey to the Ultra Marathon....